When using CS5.1 and making the links, you have to put a picture you want to make a link in the same folder of which you are currently making. If you do not put a piture in the same folder and put it outside of the folder, Illustrator tries to find the similar or same-named picture from outside of the folder. Is it true?

The way I (mis)understand it, you can link to different images wherever you wish, independently of of another (File>Place, tick Link). Obviously, if you are going to send a document with links, it is easier to have linked images in the same folder.